/usr/include/ql/math/integrals/simpsonintegral.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2003 Roman Gitlin
Copyright (C) 2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file simpsonintegral.hpp
\brief integral of a one-dimensional function using Simpson formula
*/
#ifndef quantlib_simpson_integral_hpp
#define quantlib_simpson_integral_hpp
#include <ql/math/integrals/trapezoidintegral.hpp>
namespace QuantLib {
//! Integral of a one-dimensional function
/*! \test the correctness of the result is tested by checking it
against known good values.
*/
class SimpsonIntegral : public TrapezoidIntegral<Default> {
public:
SimpsonIntegral(Real accuracy,
Size maxIterations)
: TrapezoidIntegral<Default>(accuracy, maxIterations) {}
protected:
Real integrate(const boost::function<Real (Real)>& f,
Real a,
Real b) const {
// start from the coarsest trapezoid...
Size N = 1;
Real I = (f(a)+f(b))*(b-a)/2.0, newI;
Real adjI = I, newAdjI;
// ...and refine it
Size i = 1;
do {
newI = Default::integrate(f,a,b,I,N);
N *= 2;
newAdjI = (4.0*newI-I)/3.0;
// good enough? Also, don't run away immediately
if (std::fabs(adjI-newAdjI) <= absoluteAccuracy() && i > 5)
// ok, exit
return newAdjI;
// oh well. Another step.
I = newI;
adjI = newAdjI;
i++;
} while (i < maxEvaluations());
QL_FAIL("max number of iterations reached");
}
};
}
#endif
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